Risk magazine - Volume17/No5
Articles in this issue
The top stories from RiskNews
RiskNews
The big get stronger
Rankings and Surveys
A natural standard 1
Commodities trading
Shedding the correlation ‘axe’
Equity derivatives
Born to trade
Profile
Quantifying market share
Comment
Coulter considers risk concentration
New Angles
Hedge accounting convergence between IAS and FAS
Sponsor's statement
Corporate use of credit derivatives: next stop in risk management
Sponsor's statement
Comply with me
Introduction
The costly road to compliance
Sarbanes-Oxley
IAS 39: the state of play
Derivatives accounting
The case for independent risk management committees
Corporate governance
A taste of corporate risk
Profiles
Practical relative-value volatility trading
The rapid growth of fixed-income hedge funds has resulted in increased interest in identifying relative-value trade opportunities. Here, the author presents a consistent framework for finding value within interest rate options markets.
An arbitrage-free interpolation of volatilities
Nabil Kahalé describes a new construction of an implied volatilities surface from a discrete set of implied volatilities that is arbitrage-free and satisfies some smoothness conditions. His method provides an excellent fit to the smile of the local…
Smile at the uncertainty
Smile-consistent alternatives to the Black-Scholes model are often too cumbersome to be used for large portfolios of exotic options. Damiano Brigo, Fabio Mercurio and Francesco Rapisarda propose an intuitive stochastic volatility model that is easy to…
